Friday, June 10, 2016

The Euro Effects on the STI

The Euro (not the currency but the football competition known as the UEFA European Championship) kicks off today.   It will last a good 1 month till the final on 10 July.  
Football fans around the world will be busy following the matches of the tournament and a lot of them will be watching them live.   During this period, there will be people taking leave, turning up with sleepy eyes at the office, taking MC's, etc.   With the frenzy gripping football fans across the world, will the performance of the STI be affected?   How much will the Euro affect the STI, if at all?
Let's take a look at the performances of the STI in the past years during the times when the Euro's were held.

We shall take a look at whether the Euro had any effect on the STI in terms of 3 factors:
  - the volume of shares transacted,
  - the range of the index and
  - the biggest intraday range of the index
during the whole period when the tournament was in progress.
We shall use the data from the years 2000 to 2015.

The Euro is held in even-numbered years in which the number is divisible by 4.   Hence, from 2000 and 2015, the years in which the Euro's were held were 2000, 2004, 2008 and 2012.   Let's call these the Euro years and the others, the non-Euro years.

The non-Euro years shall include all the odd-numbered years from 2000 through 2015.   These include 2001, 2003 ... 2013 and 2015, a total number of 8 years.   (Note: The even-numbered years in which the number is not divisible by 4 are years in which the World Cup were held.   In order to avoid the inclusion of unwanted World Cup influences, if any, on the results, the World Cup years are left out of the non-Euro years.)

The performances of the STI during the Euro years are compared to those during the non-Euro years in terms of the 3 factors as specified above.

The actual dates of the Euro's in 2000, 2004, 2008 and 2012 are shown in the table below:

Start dateEnd date
200010 June 2000 (Saturday)2 July 2000 (Sunday)
200412 June 2004 (Saturday)4 July 2004 (Sunday)
20087 June 2008 (Saturday)29 June 2008 (Sunday)
20128 June 2012 (Friday)1 July 2012 (Sunday)

Each tournament spanned about 3 weeks, starting from around early June and ending at the end of June or early July.   (The current Euro competition lasts about 1 month though.)

Since the opening matches were played during the weekends and the SGX bourse was closed at that time and the final matches played were at a time when the market had not opened yet, the timespan of each Euro was taken as over 15 trading days, or 3 weeks.

The timespan chosen for all non-Euro years is from 11 June to 1 July, inclusive.   The dates are selected based on the average of the start dates and end dates of the Euro's so that they cover about the same interval as the Euro.   The length of this timespan is also 3 weeks.  


The results obtained are shown in the table below.

Total volume
Index range
Biggest intraday range
Euro years
Non-Euro years

Total volume

The average of the total volume of STI shares transacted during Euro and non-Euro years are 2.35 and 3.71 billions per year respectively.   Hence, on the average, the volume of shares transacted during a Euro year is only about 63.3% of that of a non-Euro year.   In other words, there was a reduction of 36.7%, slightly more than one-third, in the volume of shares transacted when a Euro was in progress compared to when there was not.   This reduction can be considered as substantial.

Index range

The data show that the difference between the highest and lowest points of the STI when a Euro was in progress could be as little as 72.35 points and as much as 162.84 points, with the average range at 122.41 points.   On the other hand, the values were as low as 43.34 points and as high as 185.76 points when there was no Euro, with the average at 117.44 points.   On the average, the range of the STI when there was a Euro was thus 4.2% higher than when there was no Euro.

Biggest intraday range

The biggest intraday ranges of the STI during Euro years spanned from as low as 26.22 points to as high as 74.53 points, with an average of 48.65 points.   For non-Euro years, it ranged from 22.28 points to 67.23 points and averaging at 43.22 points.   The average biggest intraday range for Euro years was 112.5% of that for non-Euro years.   It can be seen from these results that the STI generally changed more intraday during a Euro.

The data on the range of the STI for the period as well as its intraday ranges show that the index fluctuated slightly more during a Euro.


When the Euro's were in progress, the volumes of share transactions for the STI were much reduced and the index was more volatile than when there was no Euro.



1 comment: